Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0112
Annualized Std Dev 0.1857
Annualized Sharpe (Rf=0%) -0.0601

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1582
Quartile 1 -0.0051
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0054
Maximum 0.1130
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0117
Skewness -0.8935
Kurtosis 16.6597

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0083
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0086
Downside Deviation (0%) 0.0086
Maximum Drawdown 0.7068
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0287
Modified VaR (95%) -0.0181
Modified ES (95%) -0.0385
From Trough To Depth Length To Trough Recovery
2004-11-24 2020-03-23 NA -0.7068 4108 3857 NA
2003-12-15 2004-05-11 2004-11-17 -0.2623 234 102 132
1999-02-12 2000-11-30 2003-03-05 -0.2584 1018 455 563
2003-07-07 2003-08-25 2003-10-24 -0.1347 79 36 43
2003-03-07 2003-03-24 2003-05-13 -0.0734 47 12 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 -1.2 -0.6 -1.2 0 -1.2 -1.2 -1.8 0 -0.7 -7.6
2000 0.7 0 0.7 0 0 -0.7 0 1.4 -1.4 0 0.8 1.4 2.8
2001 0.4 0 -0.6 0.1 -0.3 0 -0.1 0 0.1 -0.2 -0.1 -0.6 -1.3
2002 -0.2 -0.3 -0.3 0.3 -0.6 -1.6 0.2 1.2 -1.4 0.2 0.1 -0.6 -3.1
2003 -0.6 -0.1 0.2 0.8 -0.9 1 -1.7 0.9 -0.1 2.5 -1.1 1.9 2.9
2004 0.5 0.1 0.9 -0.7 -0.2 0.1 1.4 -1.4 0.4 1.2 -0.6 -0.5 1.2
2005 0.5 -1.3 0.8 0.6 -0.3 -0.9 -0.4 2.1 0.3 0.3 0 0.3 1.9
2006 0.5 -0.7 0.2 0.5 -0.1 -0.2 0.1 -0.4 0.2 0.2 0.5 -0.4 0.4
2007 -0.8 -0.2 -0.5 -0.5 0.1 0.5 -0.1 0.8 -0.2 -0.5 1.3 0.2 0.1
2008 0.2 -0.4 0.7 0.7 -0.2 -0.3 -0.3 -0.6 1.7 -2.4 -6.3 1.9 -5.4
2009 0.8 -2.1 1.6 0.9 0.6 0.9 0.2 -0.7 -0.7 -0.9 0.6 0.6 1.8
2010 -0.4 1.3 0.5 -0.4 0.2 -0.7 -0.2 1.2 -0.2 0.2 0.2 0.4 2.1
2011 0.8 -0.3 0.5 -0.7 0.4 0.4 0.6 0.4 -4.2 -1 1.7 1.2 -0.5
2012 0.6 1.6 1 0.4 -0.7 0.1 0 0.2 0.7 -0.2 -0.3 -0.4 3.2
2013 0 0.2 0.1 0.2 -2 0.4 -0.7 -0.1 0.6 -0.4 -0.2 0.5 -1.4
2014 -0.5 0.4 0.1 0 0.1 0 -0.7 0.8 0.5 -0.6 -1.2 0.6 -0.5
2015 -1.3 0.4 0.6 -0.3 0.2 0.1 0.2 0.1 -0.5 0.4 2.9 -0.5 2.4
2016 0.3 1.8 1.1 -0.7 0.4 1.2 0.7 0 -0.2 -0.6 -0.5 0 3.4
2017 0.1 -0.4 -1.4 0.5 0.2 0.2 0.1 1.6 -0.4 0 -0.1 -1.1 -0.8
2018 1.1 -1.1 0.6 -0.7 0.2 0.1 0.5 -0.2 0.9 2.7 -0.5 0.3 3.9
2019 0.9 0.1 0.5 0.5 0 -0.7 -0.3 -0.6 0.3 0.5 -1.3 0.9 0.6
2020 -1.1 -3.6 -1.8 -0.7 1.4 1.4 0.4 2 -2 0.3 0.1 -1.1 -4.9
2021 1.1 1.4 2.6 NA NA NA NA NA NA NA NA NA 5.1

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart